Author(s)

Hui Zhao, Ximin Rong, Weiqin Ma, Bo Gao

School of Science, Tianjin University, Tianjin, China.

This paper studies the optimal investment problem for utility maximization with multiple risky assets under the constant elasticity of variance (CEV) model. By applying stochastic optimal control approach and variable change technique, we derive explicit optimal strategy for an investor with logarithmic utility function. Finally, we analyze the properties of the optimal strategy and present a numerical example.

Constant Elasticity of Variance Model; Stochastic Optimal Control; Hamilton-Jacobi-Bellman Equation; Portfolio Selection; Multiple Risky Assets; Stochastic Volatility

H. Zhao, X. Rong, W. Ma and B. Gao, "Optimal Investment Problem with Multiple Risky Assets under the Constant Elasticity of Variance (CEV) Model," Modern Economy, Vol. 3 No. 6, 2012, pp. 718-725. doi: 10.4236/me.2012.36092.